For Managing the. Hang Seng SCHK Mainland China Banks Index

Transcription

1 For Managing the Hang Seng SCHK Mainland China Banks Index

2 Table of Contents Page 1. Overview 3 2. Management Responsibility 4 3. Constituent Eligibility 5 4. Index Review and Constituent Changes 6 5. Index Calculation 8 6. Index Rebalancing 9 7. Dissemination Contact Information Disclaimer 12 2

3 1 Overview 1.1 The Hang Seng SCHK Mainland China Banks Index ( HSSCBI ) reflects the performance of mainland China companies in the Banks sector that are listed in Hong Kong and are eligible for trading via the southbound trading link of the Stock Connect Scheme. 1.2 The HSSCBI is freefloat-adjusted market-capitalisation weighted with a cap on individual constituent weightings. 1.3 The HSSCBI is calculated and disseminated real-time at two-second intervals during the trading hours of the Stock Exchange of Hong Kong ( HKEX ). 3

4 2 Management Responsibility Hang Seng Indexes Company Ltd ( HSIL ) 2.1 HSIL is responsible for conducting regular reviews in accordance with the Index Methodology. 2.2 HSIL is responsible for monitoring company announcements and making ad hoc proposals which must be approved by the Chairman of the HSI Advisory Committee if constituent changes between the regular reviews are needed. 2.3 HSIL is responsible for seeking the HSI Advisory Committee s endorsement of any special action in cases where, due to exceptional circumstances, an index review is not conducted according to the Index Methodology. 2.4 HSIL is responsible for seeking the HSI Advisory Committee s endorsement of changes to the Index Methodology. HSI Advisory Committee 2.5 The Committee is responsible for ensuring index reviews are undertaken in accordance with the Index Methodology. 2.6 The Committee is responsible for reviewing any actions proposed by HSIL in the event that, due to exceptional circumstances, an index review is not conducted according to the Index Methodology. 2.7 The Committee is responsible for reviewing and endorsing all changes to the Index Methodology as proposed by HSIL. 2.8 The Committee is responsible for giving advice on any issues related to the Index Methodology. 4

5 3 Constituent Eligibility Hang Seng SCHK Mainland China Banks Index Universe 3.1 The universe of securities ( Universe ) for the HSSCBI includes all constituents of the Hang Seng Composite Index that fulfill the eligibility criteria for Southbound Trading under the Shanghai and Shenzhen Stock Connect schemes. Eligible Securities 3.2 A securitiy is eligible for constituent selection if it fulfils the following eligibility criteria. Sector Requirement 3.3 Companies* that are classified in one of the following sectors in the Hang Seng Industry Classification System ( HSICS ): Industry Sector Sub-sectors 50 Financials 5010 Banks Banks * The index includes Mainland companies only. A Mainland company is defined as a Hong Kong-listed company with at least 50% of sales revenue (or profit or assets if relevant) derived from Mainland China. Constituent Selection 3.4 Eligible securities are ranked in descending order by their 12-month-average Full Market Value ( MV ) and the top 20 will be selected as constituents. The number of constituent securities is limited to 20 for HSSCBI. 5

6 4 Index Review and Constituent Changes Regular Half-yearly Review 4.1 HSIL undertakes regular half-yearly reviews of constituents of the HSSCBI with data cut-off dates of the end of June and the end of December each year. 4.2 A half-yearly review is normally completed within eight weeks after the data cut-off dates. 4.3 Constituents will be selected according to their respective selection criteria as stated in Section 3 of this Index Methodology. Buffer Zone 4.4 Existing constituents ranked 25th or lower will be removed from the index, while non-constituent securities ranked 16th or above will be included. If the number of incoming securities is greater than the number of outgoing constituents, constituents with the lowest Full MV Rank will be removed from the index in order to maintain the number of constituents at If the number of incoming securities is smaller than the number of outgoing constituents, securities with the highest Full MV Rank will be added to the index in order to maintain the number of constituents at Buffer zone will only be applied if the number of constituents reaches 20. Reserve List 4.7 The two non-constituent securities with the highest Full MV Rank will fall into a Reserve List. The purpose of the Reserve List is to replace any outgoing constituent between the regular reviews in cases where a constituent may be removed due to trading suspension or delisting. Effective Date 4.8 Effective dates of constituent changes will be the next trading day after the first Friday of September and March for the half-yearly reviews for data cut-off dates of the end of June and the end of December respectively. If that Friday falls on a public holiday, it will be postponed to the next Friday, subject to the final decision made by HSIL. Under normal circumstances, five trading days notice will be given for any constituent changes before the effective dates. 6

7 4 Index Review and Constituent Changes Trading Suspension 4.9 Any constituent that has been suspended from trading 1) due to bankruptcy / regulatory investigation, or 2) for three months will be removed from the index as soon as possible. Such constituent may be retained in the index only in exceptional circumstances if it is believed that its shares are highly likely to resume trading in the near future. Please refer to the Index Operation Guide for details. High Shareholding Concentration 4.10 Companies that are the subject of a Securities and Futures Commission High Shareholding Concentration notice will not be eligible for inclusion in the HSSCBI. 7

8 5 Index Calculation 5.1 The HSSCBI is freefloat-adjusted MV weighted with a cap on individual constituents. The cap levels are detailed below: Number of Constituents Cap Level 10 10% 9 100% / Number of Constituents 5.2 The formula of the calculating the index value is set out below: Current Index = ( P IS FAF CF) t ( Pt 1 IS FAF CF) Yesterday s Closing Index P t : Current Price at Day t P t 1 : Closing Price at Day (t-1) IS : Issued Shares FAF : Freefloat-adjusted Factor, which is between 0 and 1 CF : Capping Factor, which is between 0 and The HSSCBI is price index without adjustments for cash dividends or warrant bonuses. 8

9 6 Index Rebalancing 6.1 The following provides the general principles on index rebalancing. Please refer to the Index Operation Guide for details about corporate actions adjustments and index rebalancing. Frequency and Schedule 6.2 The adjustment of the freefloat-adjusted factors ( FAFs ), the calculation of the Cap Factors ( CFs ) and the update of issued shares ( IS ) will be undertaken quarterly. 6.3 The regular rebalancing is usually implemented after market close on the first Friday in March, June, September and December, and comes into effect on the next trading day. 6.4 The schedule for regular index rebalancing is available at HSIL s website: Ad Hoc Changes 6.5 IS will be updated simultaneously with the index adjustment for corporate actions such as bonus issue, rights issue, stock split and stock consolidation. 6.6 Ad hoc rebalancing will be conducted if a constituent s IS and/ or FAF is substantially different from the production data. 6.7 The index will also be recapped in the event of constituent changes if the newly added component weighting is higher than the index cap level. 6.8 A minimum notice period of two trading days will be given to subscribers of data products issued by HSIL for any ad hoc rebalance. 9

10 7 Dissemination 7.1 The HSSCBI is calculated and disseminated real-time every 2 seconds during trading hours on each trading day of the Hong Kong stock market, based on the calendar of the HKEX. 7.2 Please refer to the index dissemination timetable provided on HSIL s website for further details. ( ) 7.3 The HSSCBI is calculated and published in Hong Kong dollars. 7.4 Vendor codes for the HSSCBI: Vendor Code for Price Index Code for Total Return Index Thomson Reuters.HSSCBI.HSSCBIDV 10

11 8 Contact Information Hang Seng Indexes Company Limited Address : Website 83 Des Voeux Road Central, Hong Kong info@hsi.com.hk 11

12 9 Disclaimer All information contained herein is provided for reference only. Hang Seng Indexes Company Limited ( HSIL ) ensures the accuracy and reliability of the above information to the best of its endeavours. However, HSIL makes no warranty or representation as to the accuracy, completeness or reliability of any of the information contained herein and accepts no liability (whether in tort or contract or otherwise) whatsoever to any person for any damage or loss of any nature arising from or as a result of reliance on any of the contents of this document, or any errors or omissions in its contents and such contents may change from time to time without notice. The information contained in this document is not intended to provide professional advice and should not be relied upon in that regard. Persons intending to use any information obtained from this document are advised to obtain appropriate professional advice. Hang Seng Indexes Company Limited All rights reserved. - End - 12